搜索结果: 1-3 共查到“经济学 Optimal liquidation”相关记录3条 . 查询时间(0.073 秒)
General Intensity Shapes in Optimal Liquidation
General Intensity Shapes Optimal Liquidation General Intensity Shapes in Optimal Liquidation
2012/4/28
We study the optimal liquidation problem using limit orders. Albeit the seminal literature on optimal liquidation, rooted to Almgren-Chriss models, tackles the optimal liquidation problem using a trad...
Optimal Liquidation Strategies Regularize Portfolio Selection
Optimal Liquidation Strategies Regularize Portfolio Selection
2010/10/19
We consider the problem of portfolio optimization in the presence of market impact, and derive optimal liquidation strategies. We discuss in detail the problem of finding the optimal portfolio under E...
Optimal Liquidation Strategies Regularize Portfolio Selection
Expected Shortfall portfolio optimization market impact
2010/4/28
We consider the problem of portfolio optimization in the presence of market impact, and derive optimal liquidation strategies. We discuss in detail the problem of finding the optimal portfolio under E...